Universe: 4978 names, 35 days (2006-2026). top_k=10, hold=21, lag=1. sqrt(365) overstates ~20% vs sqrt(252).
BENCHMARK: flagship region-A ML ~ Sharpe 0.99 (full), ~1.15 (2021-26). A candidate must beat that AND show it is not just the flagship's momentum.
Results
| Factor | Sharpe | CAGR(252) | p | maxDD | corrEqMom | corrMkt | residSharpe |
|---|---|---|---|---|---|---|---|
| MOM12_1 | 0.54 | 1.9% | 0.022 | -9.4% | 1.00 | 0.17 | 0.00 |
| W52H | 0.38 | 1.4% | 0.075 | -13.5% | 0.90 | 0.18 | -0.00 |
| LOWVOL | 0.57 | 1.4% | 0.016 | -6.6% | 0.77 | 0.18 | -0.00 |
| MOMxTOM | 0.40 | 3.0% | 0.071 | -31.0% | 0.31 | 0.42 | 0.00 |
| MOMxJAN | 0.31 | 1.3% | 0.128 | -26.2% | 0.03 | 0.20 | -0.00 |
| W52HxLV | 0.36 | 1.3% | 0.085 | -13.2% | 0.90 | 0.18 | -0.00 |
| MOMgate_curve<0 | 0.33 | 0.4% | 0.114 | -5.2% | 0.36 | 0.05 | 0.00 |
| MOMgate_credit>med | 0.17 | 0.4% | 0.254 | -8.7% | 0.82 | 0.16 | 0.00 |
| EW_market | 1.09 | 17.5% | 0.000 | -50.7% | 0.17 | 1.00 | -0.70 |
Reading
- If a candidate's Sharpe > ~1.0 with p<0.05 and residSharpe>0, it is a genuine NEW edge beyond the flagship's momentum.
- High corrEqMom (~1.0) means the candidate IS the flagship's momentum; only low-corr + high-Sharpe ones diversify.